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研究生:陳怡樺
研究生(外文):Yi-Hua Chen
論文名稱:研發報導偏誤、盈餘持續性與市場錯誤評價之探討
論文名稱(外文):A Study on the R&D Reporting Biases, Earnings Persistence and Market Mispricing
指導教授:呂明哲呂明哲引用關係
指導教授(外文):Ming-Che Lu
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:會計所
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:44
中文關鍵詞:財務報導偏誤盈餘持續性錯誤訂價
外文關鍵詞:MispricingEarnings persistenceFinancial reporting biases
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Lev et al. (2005) 認為沒有任何會計程序一致性應用在企業的生命週期裡可以永遠保守地(或積極地)報導,證實研發成長大於獲利能力時,費用化下報導獲利能力較資本化報導為低,形成所謂保守報導偏誤;反之,則形成積極報導偏誤。本研究根據此觀點將資產報酬率(ROA)分割成真實與偏誤兩部份,利用迴歸分析模型檢測資產報酬率中,真實與偏誤之組成對公司盈餘持續性之影響;並採用Mishkin 理性預期模型,檢測投資者是否能瞭解資產報酬率構成要素對公司盈餘持續性之意涵,進而有效地反應於股價上。
本研究之實證結果顯示,當期ROA構成要素中,ROA偏誤持續性是顯著大於真實ROA持續性。另外,投資者顯然無法完全正確評價這些項目對下期ROA之不同持續性。研發成長高(低)於獲利能力之公司,其盈餘持續性較低(高),正說明為何須保守(得積極)報導公司獲利能力;但市場顯然過度樂觀期待研發成長之未來利益,因而高估(低估)保守(積極)報導公司。
Lev et al. (2005) document that no accounting procedure consistently applied can be conservative (or aggressive) throughout the firm’s life. They further prove that companies with a high R&D growth relative to their profitability report conservatively, forming conservative reporting biases, while firms with a low R&D growth relative to their profitability report aggressively, causing aggressively reporting biases. This study focus profitability on the return on assets (ROA) and disaggregates ROA into real and biased parts. Thus, the persistence of ROA is investigated by regressing one-year-ahead ROA on the real and biased components of current ROA. Finally, Mishkin rational pricing models are used to investigate whether investors understand the implications of the real and biased components of current ROA for one-year-ahead ROA and react on the stock prices effectively.
The results from this investigation indicate that the biased component of ROA is significantly more persistent than the real component, and investors fail to fully appreciate their different implications for one-year-ahead ROA. The evidences document the reason why the conservatively (aggressively) reporting firms are understated (overstated) and that the market appears to over-optimistically expect a great future benefit from R&D growth, and consequently overvalues (undervalues) the conservatively (aggressively) reporting firms.
中文摘要 Ⅰ
Abstract Ⅱ
誌謝 Ⅲ
目錄 Ⅳ
表目錄 Ⅴ
圖目錄 Ⅵ
第一章緒論 1
第一節 研究背景和動機 1
第二節 研究目的 3
第三節 研究架構 4
第二章 文獻探討 5
第一節 研發報導偏誤相關文獻 5
第二節 盈餘構成要素之資訊內涵 7
第三章 研究設計 10
第一節 研究假說 10
第二節 變數定義 13
第三節 實證模型 16
第四節 研究樣本與期間 18
第四章 實證分析 22
第一節 敘述性統計 22
第二節 實證結果 26
第三節 敏感性測試 31
第五章 結論與建議 39
第一節 研究結論 39
第二節 研究限制 41
第三節 研究建議 42
參考文獻 43
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